Almost surely optimal portfolios under proportional transaction costs
Mark-Roman Feodoria and Jan Kallsen
| Year of publication: |
[2016]
|
|---|---|
| Authors: | Feodoria, Mark-Roman ; Kallsen, Jan |
| Published in: |
Advanced modelling in mathematical finance : in honour of Ernst Eberlein. - Cham : Springer Verlag, ISBN 978-3-319-45873-1. - 2016, p. 303-312
|
| Subject: | Portfolio optimization | Proportional transactions costs | Shadow prices | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Opportunitätskosten | Opportunity cost | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-45875-5_14 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011800383